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Option pricing in a conditional Bilateral Gamma model

Bellini, Fabio; Mercuri, Lorenzo - In: Central European journal of operations research : CEJOR … 22 (2014) 2, pp. 373-390

Persistent link: https://www.econbiz.de/10010356905

Option pricing in a Garch model with tempered stable innovations

Mercuri, Lorenzo - In: Finance research letters 5 (2008) 3, pp. 172-182

Persistent link: https://www.econbiz.de/10003769904

Portfolio selection with irregular time grids : an example using an ICA-COGARCH(1, 1) approach

Bianchi, Francesco; Mercuri, Lorenzo; Rroji, Edit - In: Financial markets and portfolio management 36 (2022) 1, pp. 57-85

Persistent link: https://www.econbiz.de/10013175200

Detecting and modeling tail dependence

Bellini, Fabio; Figà-Talamanca, Gianna - In: International journal of theoretical and applied finance 7 (2004) 3, pp. 269-287

Persistent link: https://www.econbiz.de/10002111461

Comparison Results for GARCH Processes

Bellini, Fabio - 2012

We consider the problem of stochastic comparison of general Garch-like processes, for different parameters and different distributions of the innovations. We identify several stochastic orders that are propagated from the innovations to the Garch process itself, and discuss their...

Persistent link: https://www.econbiz.de/10013107661